Classical techniques such as Peroxide Value and Anisidine Value are not useful to evaluate the quality of krill oil. These techniques may underestimate lipid oxidation and other degradative reactions in krill oil. Therefore, the main objective of this study was to evaluate the quality of eight different commercial krill oil capsules through parameters such as: investigation of chemical compositions (bioactive compounds such as phospholipids, n-3 polyunsaturated fatty acids, antioxidants), hydrophobic pyrroles, and volatile profiles (lipid and Strecker-derived volatiles, pyridines, pyrazines, and their alkyl derivatives, sulphur and amino compounds). The data of chemical composition of krill oil were correlated well with those from volatile measurement. Through investigating volatile profile, new insights into the lipid oxidation and non-enzymatic browning reactions in krill oil were obtained, and the quality among different commercial krill oil products was differentiated. Practical applications: Different from fish oil, krill oil has a much more complex matrix. Therefore, classical techniques, which are useful to differentiate the quality of fish oil are not applicable to krill oil. This work provides new parameters to differentiate the quality of krill oil through the measurement of bioactive compounds and hydrophobic pyrroles in krill oil, and investigation of volatile profiles of krill oil from the aspect of lipid oxidation and non-enzymatic browning reactions.